Volatility spillover of energy markets into EUA markets under EU ETS : a multi-phase study
Ajay K. Dhamija, Surendra S. Yadav, PK Jain
| Year of publication: |
2018
|
|---|---|
| Authors: | Dhamija, Ajay K. ; Yadav, Surendra Singh ; Jain, Pramod Kumar |
| Published in: |
Environmental economics and policy studies. - Tokyo [u.a.] : Springer, ISSN 1432-847X, ZDB-ID 1437708-1. - Vol. 20.2018, 3, p. 561-591
|
| Subject: | EUA | EU ETS | Volatility co-movement | Volatility spillover | Multivariate GARCH | BEKK-MGARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Energiemarkt | Energy market | EU-Staaten | EU countries | Emissionshandel | Emissions trading |